Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.
Assessing look-ahead bias in stock return predictions generated by gpt sentiment analysis.Journal of Financial Data Science, 6(1), 2024
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When Alpha Disappears: A One-Switch Benchmark for Decision-Time Leakage in Financial Backtests
Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.